Margin models
Lehman’s ghost: how three CCPs anchor models to crash
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
Dealers warn Asia: get ready now for 2020 IM deadline
Firms preparing to post margin in September 2020 need to complete systems by March 2019
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
CCPs incur fewer margin breaches in 2017
LCH Ltd reports 399 fewer breaches than in 2016; DTCC 156
CFTC, Treasury officials boost Isda push for IM revamp
Isda AGM: Research paid for by trade body calls for variable MPOR
From Lehman to rupee crashes: India’s CCP chief on market stress
Risk chief sets about bolstering CCIL’s risk modelling, lookback periods, and portfolio compression
Bosses escape blame for options blow-up at Swedish bank
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Banks win concessions in battle over CCP margin models
European Commission proposal would shine light on clearing house margin charges
Data woes force dividend swaps out of Simm update
Dealers have different approaches to pricing dividend risk factors
Clearing house innovation of the year: Nodal Clear
Risk Awards 2017: Bold decision to ditch VAR in favour of expected shortfall pays off
Clearing house of the year: LCH
Risk Awards 2017: CCP enjoys stellar year for volumes, and demonstrates willingness to adapt following Brexit stresses
Eurex margin flaws claimed in Swedish bank collapse case
CCP failed to properly capture vega, strike and wing risk, expert report claims
Regulators to put CCP risks under microscope
CPMI-Iosco stress-testing quiz will be precursor for broader risk review